# Econometrics

## Financial Stability 1

The lender of last resort: An analysis of the economics and politics of banking crises, and episodes of bail-outs of

failing financial institutions.

- Rochet Vives (2004) “The Lender of last Resort: was Bagehot right after all?” JEEA, 6, 1116-1147, reprinted in Rochet J.C. (2008) “Why are there so many banking crises?, Princeton University Press, chapter 2

## Contingent Capital and Financial Networks 1

These lectures will cover two topics. The first is contingent capital in the form of debt that converts to equity when a bank

nears financial distress. These instruments offer a potential solution to the problem of banks that are too big to fail by

providing a credible alternative to a government bail-out. Their properties are, however, complex. I will discuss models for the analysis of contingent capital with particular emphasis on their incentive effects and the design of the conversion trigger. The second topic in these lectures is the problem of quantifying contagion and amplification in financial networks. In particular, I will focus on bounding the potential impact of network effects under the realistic condition that detailed information on the structure of the network is unavailable

## Diffusion Models for Systemic Risk 1

We will present inter-bank borrowing and lending models based on systems of coupled diffusions. First-passage models will

be reviewed and applied to mean-field type models in order to illustrate systemic events and compute their probability via

large deviation theory. Then, a game feature will be introduced and Nash equilibria will be derived or approximated using the

Mean Field Game approach.

## Over the Counter Markets

This lecture is part of a series on "*Risk Sharing in Over-the-Counter Markets"*

## Financial System Architecture

These lecture notes are part of a series on "*Risk Sharing in Over-the-Counter Markets"*

## Mathematics and the Planet Earth: a Long Life Together II

When Colombus left Spain in 1492, sailing West, he knew that the Earth was round and was expecting to land in Japan. Seventeen centuries earlier, around 200 BC, Eratosthenes had shown that its circumference was 40,000 km, just by a smart use of mathematics, without leaving his home town of Alexandria. Since then, we have learned much more about Earth: it is a planet, it has an inner structure, it carries life , and at every step mathematics have been a crucial tool of discovery and understanding. Nowadays, concerns about the human footprint and climate change force us to bring all this knowledge to bear on the global problems facing us. This is the last challenge for mathematics: can we control change?

This is a two-part lecture, investigating how our idea of the world has influenced the development of mathematics. In the first lecture on July 15, I will describe the situation up to the twentieth century, in the second one on July 17 I will follow up to the present time and the global challenges humanity and the planet are facing today.

## Mathematics and the Planet Earth: a Long Life Together I

This is a two-part lecture, investigating how our idea of the world has influenced the development of mathematics. In the first lecture (July 15), I will describe the situation up to the twentieth century, in the second one (July 17) I will follow up to the present time and the global challenges humanity and the planet are facing today.